This paper examines the dynamic linkages in credit risk between the money market and the derivatives market during 2004-9. We use the T-bill-Eurodollar (TED) spread to measure credit risk in the money...

This issue of The Journal of Risk includes contributions that enhance our understanding of risk-weighted assets in the context of value-at-risk as well as the estimation of this popular risk measure on...

The New Year has seen the Ted spread, a perceived level of counterparty risk, reach its lowest level since Lehman Brothers filed for Chapter 11 bankruptcy on September 15 last year. Elsewhere, inter...

Despite continued market unrest, healthier interbank lending rates over the past week indicate financial institutions are increasingly confident in lending to one another, while the perceived level ...

The proposals of world leaders to stabilise financial markets had little significant impact on the interbank market, with the Ted spread and Libor figures remaining at similar levels to before the w...

Dollar Libor was up today following US Treasury secretary Hank Paulson's admission yesterday that the Troubled Asset Relief Programme (Tarp) will not be used to buy illiquid mortgage-backed securiti...

Following last week's rate cuts, the Ted spread, which tracks the difference between three-month Libor and Treasury bills, had fallen today to 2.01 when trading opened, the same level as September 1...

A quant at Citi has revived debate about the changing nature of the profession (www.risk.net/2417747). The scope is narrower, he claims; the job has been dumbed down, and today's quants are little more than programmers. Is he right?